residualizeReturns: residualizeReturns

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

residualizeReturns

Description

#' function to Residualize the returns via regressions

Usage

residualizeReturns(specObj, benchmark, rfRate, isBenchExcess = F)

Arguments

specObj	specObj is a ffmSpec object,
benchmark	we might need market returns
rfRate	risk free rate
isBenchExcess	toggle to select whether to calculate excess returns

Details

this function operates on the data inside the specObj and residualizes the returns to create residual return using regressions of returns on a benchmark.

See Also

specFfm for information on the definition of the specFfm object.

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.